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Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach

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  • Lean, Hooi Hooi
  • Teng, Kee Tuan

Abstract

This paper examines the financial integration of two world leaders (the U.S. and Japan) and two emerging powers (China and India) into the Malaysian stock market. A DCC-MGARCH approach is employed to examine the correlations among these countries in a time-variant manner to indicate the degree of financial integration among the countries. It is found that the financial integration between Malaysia and China started to evolve in April 2004. Strong financial integration between the stock markets in India and Malaysia was observed. In contrast, the volatility spillover effect from the U.S. to Malaysia disappeared, especially in the short term. Nevertheless, the study suggests that in the long run, investors in Malaysia could gain by diversifying their portfolios in China and Japan relative to India and the U.S.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 32 (2013)
Issue (Month): C ()
Pages: 333-342

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Handle: RePEc:eee:ecmode:v:32:y:2013:i:c:p:333-342

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Financial integration; DCC-MGARCH; China; Volatility spillover;

References

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Cited by:
  1. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.

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